Kinerja Jangka Pendek Saham-saham Yang mengalami Underpricing pada Penawaran Perdana

Nurhikmat, Atin, Eddy Junarsin, S.E., M.B.A.

2008 | Skripsi | S1 Extention - Management

Harga saham yang ditawarkan di pasar perdana biasanya cenderung mengalami underpriced, karena dalam menentukan harga biasanya penjamin emisi mempunyai peran yang lebih besar dibandingkan emiten. Underpricing ini memberikan initial return bagi investor dipasar perdana. Initial return diukur dengan selisih antara harga saham perusahaan hari pertama dipasar sekunder dengan penawaran saat IPO. Dalam penelitian ini menggunakan sampel sebanyak 58 perusahaan yang terdaftar di BEJ dari tahun 2001 sampai dengan 2005, sampel dipilih berdasarkan purposive sampling . Analisis data menggunakan one sample t-test untuk melihat rata-rata abnormal return. Untuk menguji pengaruh secara parsial tipe perusahaan, financial leverage, return on asset, earning per share, dan gross proceed terhadap tingkat underpricing digunakan regresi sederhana. Sedangkan regresi linear berganda digunakan untuk menguji pengaruh secara simultan. Dari hasil penelitian menunjukkan bahwa kinerja jangka pendek saham-saham yang mengalami underpricing pada penawran perdana adalah underprice, hal ini ditunjukkan dengan adanya abnormal return yang positif, dari hasil penelitian hanya variabel earning per share dan gross proceed yang secara parsial berpengaruh signifikan terhadap tingkat underpricing, sedangkan secara simultan kelima faktor tersebut berpengaruh signifikan terhadap tingkat underpricing sebesar 33,1% dan sisanya 66,9% dipengaruhi oleh faktor-faktor lain yang tidak masuk dalam model penelitian ini. Kata kunci: initial public offering, underpricing, abnormal return, financial leverage, return on asset, earning per share, gross proceed.

Most of stocks prices at public offering are underpriced because underwriters have large proportion to define the price than issuers. This underpriced phenomenon has given initial return for investors in the premier market. Initial return is measured by the difference between company's stock price on the first day of secondary market and the offering at IPO. In this research is as many as 58 companies in the BEJ listing from 2001 up to 2005. The sample is drawn using purposive sampling by the stock that is characterized is underpriced. The data analysis employs one sample t-test to examine the average abnormal return, to examine the partial effect of the company type, financial leverage, return on asset, earning per share, and gross proceed on the level of underpricing used simple linear regression. Multiple linear regressions to observe the effects in simultaneous act. The result of the study shows that: in short term performance of IPO's are underpriced its shown by positive abnormal return, the research only earning per share and gross proceed that partially have significant influence on the level of underpricing; while simultaneously, the five factors significantly affect the level of underpricing as much as 33,1%, and the rest 66,9% of the effect is affected by other factors not included in this research. Key words: initial public offering, under pricing, abnormal return, company type, financial leverage, return on asset, earning per share, gross proceed.

Kata Kunci : Kinerja Saham; Underpricing; Penawaran Perdana; Pasar Modal